A closed-form solution for lookback options using Mellin transform approach (Q3178447)
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scientific article; zbMATH DE number 6603351
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| English | A closed-form solution for lookback options using Mellin transform approach |
scientific article; zbMATH DE number 6603351 |
Statements
A CLOSED-FORM SOLUTION FOR LOOKBACK OPTIONS USING MELLIN TRANSFORM APPROACH (English)
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14 July 2016
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floating lookback option
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method of images
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Mellin transform
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0.8017818927764893
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0.7869594693183899
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0.7741560339927673
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0.7733442783355713
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0.7686446309089661
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